| ID | 66122 |
| FullText URL | |
| Author |
Sakemoto, Ryuta
Okayama University, Okayama-ken, Japan and Keio Economic Observatory, Keio University
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| Abstract | This study investigates whether long-run conditional covariance risk is linked to expected returns in the Intertemporal CAPM framework. We observe that the long-run value risk is positively associated with the expected returns on the global portfolios excluding the US. We also find that the long-run momentum risk is negatively related to the expected returns. In contrast, the long-run market risk is not associated with them, due to the low covariance variation across portfolios. Finally, we uncover that the long-run value premiums were strong for the global and European portfolios before the COVID-19 pandemic.
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| Keywords | ICAPM
long-run risk
value anomalies
factor models
COVID-19
DCC-MIDAS
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| Note | © 2023 Elsevier B.V. This manuscript version is made available under the CC-BY-NC-ND 4.0 license https://creativecommons.org/licenses/by-nc-nd/4.0/
This fulltext file will be available in Oct. 2025.
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| Published Date | 2023-12
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| Publication Title |
Journal of International Financial Markets, Institutions and Money
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| Volume | volume89
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| Publisher | Elsevier BV
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| Start Page | 101854
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| ISSN | 1042-4431
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| NCID | AA10818219
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| Content Type |
Journal Article
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| language |
English
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| OAI-PMH Set |
岡山大学
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| Copyright Holders | © 2023 Elsevier B.V.
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| File Version | author
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| DOI | |
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| Related Url | isVersionOf https://doi.org/10.1016/j.intfin.2023.101854
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| License | https://creativecommons.org/licenses/by-nc-nd/4.0/
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| Funder Name |
Japan Society for the Promotion of Science
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| 助成番号 | 20K22092
22K13430
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